Self-Regulatory Organizations; The Depository Trust Company; Order Instituting Proceedings To Determine Whether To Approve or Disapprove a Proposed Rule Change To Amend the Stress Testing Framework and Liquidity Risk Management Framework, 56733-56734 [2022-19912]

Download as PDF Federal Register / Vol. 87, No. 178 / Thursday, September 15, 2022 / Notices identified above, as well as any other concerns they may have with the Proposed Rule Change. In particular, the Commission invites the written views of interested persons concerning whether the Proposed Rule Change is consistent with Section 17A(b)(3)(F) of the Act,14 and Rules 17Ad–22(e)(4) and (e)(7) of the Act,15 or any other provision of the Act, or the rules and regulations thereunder. Interested persons are invited to submit written data, views, and arguments regarding whether the Proposed Rule Change should be approved or disapproved by October 6, 2022. Any person who wishes to file a rebuttal to any other person’s submission must file that rebuttal by October 20, 2022. The Commission asks that commenters address the sufficiency of FICC’s statements in support of the Proposed Rule Change, which are set forth in the Notice,16 in addition to any other comments they may wish to submit about the Proposed Rule Change. Comments may be submitted by any of the following methods: lotter on DSK11XQN23PROD with NOTICES1 Electronic Comments • Use the Commission’s internet comment form (https://www.sec.gov/ rules/sro.shtml); or • Send an email to rule-comments@ sec.gov. Please include File Number SR– FICC–2022–004 on the subject line. Paper Comments • Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE, Washington, DC 20549–1090. All submissions should refer to File Number SR–FICC–2022–004. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission’s internet website (https://www.sec.gov/ rules/sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the Proposed Rule Change that are filed with the Commission, and all written communications relating to the Proposed Rule Change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for website viewing and 14 15 U.S.C. 78q–1(b)(3)(F). CFR 240.17Ad–22(e)(4) and (e)(7). 16 See Notice, supra note 3. 15 17 VerDate Sep<11>2014 16:56 Sep 14, 2022 Jkt 256001 printing in the Commission’s Public Reference Room, 100 F Street NE, Washington, DC 20549 on official business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of the filing also will be available for inspection and copying at the principal office of FICC and on DTCC’s website (https://dtcc.com/legal/sec-rulefilings.aspx). All comments received will be posted without change. Persons submitting comments are cautioned that we do not redact or edit personal identifying information from comment submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR–FICC– 2022–004 and should be submitted on or before October 6, 2022. Rebuttal comments should be submitted by October 20, 2022. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.17 J. Matthew DeLesDernier, Deputy Secretary, [FR Doc. 2022–19914 Filed 9–14–22; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–95729; File No. SR–DTC– 2022–006] Self-Regulatory Organizations; The Depository Trust Company; Order Instituting Proceedings To Determine Whether To Approve or Disapprove a Proposed Rule Change To Amend the Stress Testing Framework and Liquidity Risk Management Framework September 9, 2022. I. Introduction On May 26, 2022, The Depository Trust Company (‘‘DTC’’) filed with the Securities and Exchange Commission (‘‘Commission’’) proposed rule change SR–DTC–2022–006 (the ‘‘Proposed Rule Change’’) pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (‘‘Act’’) 1 and Rule 19b–4 thereunder.2 The Proposed Rule Change was published for comment in the Federal Register on June 15, 2022,3 and the Commission has received comments regarding the changes proposed in the Proposed Rule Change.4 17 17 CFR 200.30–3(a)(31). U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 3 Securities Exchange Act Release No. 95080 (June 9, 2022), 87 FR 36191 (June 15, 2022) (File No. SR–DTC–2022–006). 4 Comments are available at https://www.sec.gov/ comments/sr-dtc-2022-006/srdtc2022006.htm. 1 15 PO 00000 Frm 00114 Fmt 4703 Sfmt 4703 56733 On July 14, 2022, pursuant to Section 19(b)(2) of the Act,5 the Commission designated a longer period within which to approve, disapprove, or institute proceedings to determine whether to approve or disapprove the Proposed Rule Change.6 This order institutes proceedings, pursuant to Section 19(b)(2)(B) of the Act,7 to determine whether to approve or disapprove the Proposed Rule Change. II. Summary of the Proposed Rule Change As described in the Notice, DTC proposes to amend the Clearing Agency Stress Testing Framework (Market Risk) (‘‘ST Framework’’) and the Clearing Agency Liquidity Risk Management Framework (‘‘LRM Framework,’’ and, together with the ST Framework, the ‘‘Frameworks’’) of DTC and its affiliates, National Securities Clearing Corporation (‘‘NSCC’’) and Fixed Income Clearing Corporation (‘‘FICC,’’ and together with NSCC and DTC, the ‘‘Clearing Agencies’’).8 First, the proposed changes would amend both the ST Framework and the LRM Framework to move descriptions of the Clearing Agencies’ liquidity stress testing activities from the LRM Framework to the ST Framework. In connection with this proposed change, the Clearing Agencies propose to recategorize the stress scenarios used for liquidity risk management, such that all such stress scenarios are described as either regulatory or informational scenarios. Second, the proposed changes would amend the ST Framework to (1) enhance stress testing for the Government Securities Division of FICC (‘‘GSD’’) to obtain certain data utilized in stress testing from external vendors and implement a back-up stress testing calculation that would be utilized in the event such data is not supplied by its vendors, and amend the ST Framework to reflect these practices for both GSD and the Mortgage-Backed Securities Division of FICC (‘‘MBSD’’); (2) reflect that a stress testing team is primarily responsible for the actions described in the ST Framework, and (3) make other revisions to update and clarify certain statements in the ST Framework. 5 15 U.S.C. 78s(b)(2). Exchange Act Release No. 95282 (July 14, 2022), 87 FR 43354 (July 20, 2022) (SR–DTC– 2022–006). 7 15 U.S.C. 78s(b)(2)(B). 8 The description of the Proposed Rule Change is based on the statements prepared by DTC in the Notice. See Notice, supra note 3. Capitalized terms used herein and not otherwise defined herein are defined in the Rules, available at https:// www.dtcc.com/∼/media/Files/Downloads/legal/ rules/dtc_rules.pdf. 6 Securities E:\FR\FM\15SEN1.SGM 15SEN1 56734 Federal Register / Vol. 87, No. 178 / Thursday, September 15, 2022 / Notices Third, the proposed changes would amend the LRM Framework to update and clarify certain statements in the LRM Framework. lotter on DSK11XQN23PROD with NOTICES1 III. Proceedings To Determine Whether To Approve or Disapprove the Proposed Rule Change and Grounds for Disapproval Under Consideration The Commission is instituting proceedings pursuant to Section 19(b)(2)(B) of the Act 9 to determine whether the Proposed Rule Change should be approved or disapproved. Institution of proceedings is appropriate at this time in view of the legal and policy issues raised by the Proposed Rule Change. Institution of proceedings does not indicate that the Commission has reached any conclusions with respect to any of the issues involved. Rather, the Commission seeks and encourages interested persons to comment on the Proposed Rule Change, providing the Commission with arguments to support the Commission’s analysis as to whether to approve or disapprove the Proposed Rule Change. Pursuant to Section 19(b)(2)(B) of the Act,10 the Commission is providing notice of the grounds for disapproval under consideration. The Commission is instituting proceedings to allow for additional analysis of, and input from commenters with respect to, the Proposed Rule Change’s consistency with Section 17A of the Act,11 and the rules thereunder, including the following provisions: • Section 17A(b)(3)(F) of the Act,12 which requires, among other things, that the rules of a clearing agency must be designed to promote the prompt and accurate clearance and settlement of securities transactions, to assure the safeguarding of securities and funds which are in the custody or control of the clearing agency or for which it is responsible, and to protect investors and the public interest; and • Rule 17Ad–22(e)(4) of the Act,13 which requires that a covered clearing agency establish, implement, maintain, and enforce written policies and procedures reasonably designed to effectively identify, measure, monitor, and manage its credit exposures to participants and those arising from its payment, clearing, and settlement processes. • Rule 17Ad–22(e)(7) of the Act,14 which requires a covered clearing 9 15 U.S.C. 78s(b)(2)(B). 10 Id. U.S.C. 78q–1. U.S.C. 78q–1(b)(3)(F). 13 17 CFR 240.17Ad–22(e)(4). 14 17 CFR 240.17Ad–22(e)(7). agency to effectively measure, monitor, and manage the liquidity risk that arises in or is borne by the covered clearing agency, including measuring, monitoring, and managing its settlement and funding flows on an ongoing and timely basis, and its use of intraday liquidity. IV. Procedure: Request for Written Comments The Commission requests that interested persons provide written submissions of their views, data, and arguments with respect to the issues identified above, as well as any other concerns they may have with the Proposed Rule Change. In particular, the Commission invites the written views of interested persons concerning whether the Proposed Rule Change is consistent with Section 17A(b)(3)(F) of the Act,15 and Rules 17Ad–22(e)(4) and (e)(7) of the Act,16 or any other provision of the Act, or the rules and regulations thereunder. Interested persons are invited to submit written data, views, and arguments regarding whether the Proposed Rule Change should be approved or disapproved by October 6, 2022. Any person who wishes to file a rebuttal to any other person’s submission must file that rebuttal by October 20, 2022. The Commission asks that commenters address the sufficiency of DTC’s statements in support of the Proposed Rule Change, which are set forth in the Notice,17 in addition to any other comments they may wish to submit about the Proposed Rule Change. Comments may be submitted by any of the following methods: Electronic Comments • Use the Commission’s internet comment form (https://www.sec.gov/ rules/sro.shtml); or • Send an email to rule-comments@ sec.gov. Please include File Number SR– DTC–2022–006 on the subject line. Paper Comments • Send paper comments in triplicate to Secretary, Securities and Exchange Commission, 100 F Street NE, Washington, DC 20549–1090. All submissions should refer to File Number SR–DTC–2022–006. This file number should be included on the subject line if email is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will 11 15 12 15 VerDate Sep<11>2014 16:56 Sep 14, 2022 15 15 U.S.C. 78q–1(b)(3)(F). CFR 240.17Ad–22(e)(4) and (e)(7). 17 See Notice, supra note 3. post all comments on the Commission’s internet website (https://www.sec.gov/ rules/sro.shtml). Copies of the submission, all subsequent amendments, all written statements with respect to the Proposed Rule Change that are filed with the Commission, and all written communications relating to the Proposed Rule Change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for website viewing and printing in the Commission’s Public Reference Room, 100 F Street NE, Washington, DC 20549 on official business days between the hours of 10:00 a.m. and 3:00 p.m. Copies of the filing also will be available for inspection and copying at the principal office of DTC and on DTCC’s website (https://dtcc.com/legal/sec-rulefilings.aspx). All comments received will be posted without change. Persons submitting comments are cautioned that we do not redact or edit personal identifying information from comment submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR–DTC– 2022–006 and should be submitted on or before October 6, 2022. Rebuttal comments should be submitted by October 20, 2022. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.18 J. Matthew DeLesDernier, Deputy Secretary. [FR Doc. 2022–19912 Filed 9–14–22; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [SEC File No. 270–649; OMB Control No. 3235–0701] Submission for OMB Review; Comment Request; Extension: Rule 18a–1 Upon Written Request, Copies Available From: Securities and Exchange Commission, Office of FOIA Services, 100 F Street NE, Washington, DC 20549–2736 Notice is hereby given that pursuant to the Paperwork Reduction Act of 1995 (‘‘PRA’’) (44 U.S.C. 3501 et seq.), the Securities and Exchange Commission (‘‘Commission’’) has submitted to the Office of Management and Budget 16 17 Jkt 256001 PO 00000 Frm 00115 Fmt 4703 Sfmt 4703 18 17 E:\FR\FM\15SEN1.SGM CFR 200.30–3(a)(31). 15SEN1

Agencies

[Federal Register Volume 87, Number 178 (Thursday, September 15, 2022)]
[Notices]
[Pages 56733-56734]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-19912]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-95729; File No. SR-DTC-2022-006]


Self-Regulatory Organizations; The Depository Trust Company; 
Order Instituting Proceedings To Determine Whether To Approve or 
Disapprove a Proposed Rule Change To Amend the Stress Testing Framework 
and Liquidity Risk Management Framework

September 9, 2022.

I. Introduction

    On May 26, 2022, The Depository Trust Company (``DTC'') filed with 
the Securities and Exchange Commission (``Commission'') proposed rule 
change SR-DTC-2022-006 (the ``Proposed Rule Change'') pursuant to 
Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act'') \1\ 
and Rule 19b-4 thereunder.\2\ The Proposed Rule Change was published 
for comment in the Federal Register on June 15, 2022,\3\ and the 
Commission has received comments regarding the changes proposed in the 
Proposed Rule Change.\4\
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Securities Exchange Act Release No. 95080 (June 9, 2022), 87 
FR 36191 (June 15, 2022) (File No. SR-DTC-2022-006).
    \4\ Comments are available at https://www.sec.gov/comments/sr-dtc-2022-006/srdtc2022006.htm.
---------------------------------------------------------------------------

    On July 14, 2022, pursuant to Section 19(b)(2) of the Act,\5\ the 
Commission designated a longer period within which to approve, 
disapprove, or institute proceedings to determine whether to approve or 
disapprove the Proposed Rule Change.\6\ This order institutes 
proceedings, pursuant to Section 19(b)(2)(B) of the Act,\7\ to 
determine whether to approve or disapprove the Proposed Rule Change.
---------------------------------------------------------------------------

    \5\ 15 U.S.C. 78s(b)(2).
    \6\ Securities Exchange Act Release No. 95282 (July 14, 2022), 
87 FR 43354 (July 20, 2022) (SR-DTC-2022-006).
    \7\ 15 U.S.C. 78s(b)(2)(B).
---------------------------------------------------------------------------

II. Summary of the Proposed Rule Change

    As described in the Notice, DTC proposes to amend the Clearing 
Agency Stress Testing Framework (Market Risk) (``ST Framework'') and 
the Clearing Agency Liquidity Risk Management Framework (``LRM 
Framework,'' and, together with the ST Framework, the ``Frameworks'') 
of DTC and its affiliates, National Securities Clearing Corporation 
(``NSCC'') and Fixed Income Clearing Corporation (``FICC,'' and 
together with NSCC and DTC, the ``Clearing Agencies'').\8\
---------------------------------------------------------------------------

    \8\ The description of the Proposed Rule Change is based on the 
statements prepared by DTC in the Notice. See Notice, supra note 3. 
Capitalized terms used herein and not otherwise defined herein are 
defined in the Rules, available at https://www.dtcc.com/~/media/
Files/Downloads/legal/rules/dtc_rules.pdf.
---------------------------------------------------------------------------

    First, the proposed changes would amend both the ST Framework and 
the LRM Framework to move descriptions of the Clearing Agencies' 
liquidity stress testing activities from the LRM Framework to the ST 
Framework. In connection with this proposed change, the Clearing 
Agencies propose to recategorize the stress scenarios used for 
liquidity risk management, such that all such stress scenarios are 
described as either regulatory or informational scenarios.
    Second, the proposed changes would amend the ST Framework to (1) 
enhance stress testing for the Government Securities Division of FICC 
(``GSD'') to obtain certain data utilized in stress testing from 
external vendors and implement a back-up stress testing calculation 
that would be utilized in the event such data is not supplied by its 
vendors, and amend the ST Framework to reflect these practices for both 
GSD and the Mortgage-Backed Securities Division of FICC (``MBSD''); (2) 
reflect that a stress testing team is primarily responsible for the 
actions described in the ST Framework, and (3) make other revisions to 
update and clarify certain statements in the ST Framework.

[[Page 56734]]

    Third, the proposed changes would amend the LRM Framework to update 
and clarify certain statements in the LRM Framework.

III. Proceedings To Determine Whether To Approve or Disapprove the 
Proposed Rule Change and Grounds for Disapproval Under Consideration

    The Commission is instituting proceedings pursuant to Section 
19(b)(2)(B) of the Act \9\ to determine whether the Proposed Rule 
Change should be approved or disapproved. Institution of proceedings is 
appropriate at this time in view of the legal and policy issues raised 
by the Proposed Rule Change. Institution of proceedings does not 
indicate that the Commission has reached any conclusions with respect 
to any of the issues involved. Rather, the Commission seeks and 
encourages interested persons to comment on the Proposed Rule Change, 
providing the Commission with arguments to support the Commission's 
analysis as to whether to approve or disapprove the Proposed Rule 
Change.
---------------------------------------------------------------------------

    \9\ 15 U.S.C. 78s(b)(2)(B).
---------------------------------------------------------------------------

    Pursuant to Section 19(b)(2)(B) of the Act,\10\ the Commission is 
providing notice of the grounds for disapproval under consideration. 
The Commission is instituting proceedings to allow for additional 
analysis of, and input from commenters with respect to, the Proposed 
Rule Change's consistency with Section 17A of the Act,\11\ and the 
rules thereunder, including the following provisions:
---------------------------------------------------------------------------

    \10\ Id.
    \11\ 15 U.S.C. 78q-1.
---------------------------------------------------------------------------

     Section 17A(b)(3)(F) of the Act,\12\ which requires, among 
other things, that the rules of a clearing agency must be designed to 
promote the prompt and accurate clearance and settlement of securities 
transactions, to assure the safeguarding of securities and funds which 
are in the custody or control of the clearing agency or for which it is 
responsible, and to protect investors and the public interest; and
---------------------------------------------------------------------------

    \12\ 15 U.S.C. 78q-1(b)(3)(F).
---------------------------------------------------------------------------

     Rule 17Ad-22(e)(4) of the Act,\13\ which requires that a 
covered clearing agency establish, implement, maintain, and enforce 
written policies and procedures reasonably designed to effectively 
identify, measure, monitor, and manage its credit exposures to 
participants and those arising from its payment, clearing, and 
settlement processes.
---------------------------------------------------------------------------

    \13\ 17 CFR 240.17Ad-22(e)(4).
---------------------------------------------------------------------------

     Rule 17Ad-22(e)(7) of the Act,\14\ which requires a 
covered clearing agency to effectively measure, monitor, and manage the 
liquidity risk that arises in or is borne by the covered clearing 
agency, including measuring, monitoring, and managing its settlement 
and funding flows on an ongoing and timely basis, and its use of 
intraday liquidity.
---------------------------------------------------------------------------

    \14\ 17 CFR 240.17Ad-22(e)(7).
---------------------------------------------------------------------------

IV. Procedure: Request for Written Comments

    The Commission requests that interested persons provide written 
submissions of their views, data, and arguments with respect to the 
issues identified above, as well as any other concerns they may have 
with the Proposed Rule Change. In particular, the Commission invites 
the written views of interested persons concerning whether the Proposed 
Rule Change is consistent with Section 17A(b)(3)(F) of the Act,\15\ and 
Rules 17Ad-22(e)(4) and (e)(7) of the Act,\16\ or any other provision 
of the Act, or the rules and regulations thereunder.
---------------------------------------------------------------------------

    \15\ 15 U.S.C. 78q-1(b)(3)(F).
    \16\ 17 CFR 240.17Ad-22(e)(4) and (e)(7).
---------------------------------------------------------------------------

    Interested persons are invited to submit written data, views, and 
arguments regarding whether the Proposed Rule Change should be approved 
or disapproved by October 6, 2022. Any person who wishes to file a 
rebuttal to any other person's submission must file that rebuttal by 
October 20, 2022.
    The Commission asks that commenters address the sufficiency of 
DTC's statements in support of the Proposed Rule Change, which are set 
forth in the Notice,\17\ in addition to any other comments they may 
wish to submit about the Proposed Rule Change.
---------------------------------------------------------------------------

    \17\ See Notice, supra note 3.
---------------------------------------------------------------------------

    Comments may be submitted by any of the following methods:

Electronic Comments

     Use the Commission's internet comment form (https://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-DTC-2022-006 on the subject line.

Paper Comments

     Send paper comments in triplicate to Secretary, Securities 
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.

All submissions should refer to File Number SR-DTC-2022-006. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's internet website (https://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the Proposed Rule Change that are filed with 
the Commission, and all written communications relating to the Proposed 
Rule Change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549 on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of the filing also will be available for inspection 
and copying at the principal office of DTC and on DTCC's website 
(https://dtcc.com/legal/sec-rule-filings.aspx). All comments received 
will be posted without change. Persons submitting comments are 
cautioned that we do not redact or edit personal identifying 
information from comment submissions. You should submit only 
information that you wish to make available publicly. All submissions 
should refer to File Number SR-DTC-2022-006 and should be submitted on 
or before October 6, 2022. Rebuttal comments should be submitted by 
October 20, 2022.
---------------------------------------------------------------------------

    \18\ 17 CFR 200.30-3(a)(31).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\18\
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2022-19912 Filed 9-14-22; 8:45 am]
BILLING CODE 8011-01-P
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